STOCK VOLATILITY AND THE LEVELS OF THE BASIS AND OPEN INTEREST IN FUTURES CONTRACTS

• 成果类型: Article
• 署名作者: CHEN, NF; CUNY, CJ; HAUGEN, RA
• 署名单位: Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1995.tb05174.x
• 发表日期: 1995
• 页码: 281-300
• 关键词: INDEX FUTURES; prices; returns; MARKETS

摘要

This article tests a theoretical model of the basis and open interest of stock index futures. The model is based on the differences between stock and futures in terms of investors' ability to customize stock portfolios and liquidity. Empirical evidence confirms the model's prediction that increased volatility decreases the basis and increases open interest.